Method for simulating non-linear stochastic differential equations in ℝ1

DOI10.1080/00949650410001687235zbMath1072.62067OpenAlexW2157042421MaRDI QIDQ5697313

João Nicolau

Publication date: 17 October 2005

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650410001687235

zbMATH Keywords

diffusion processesstatistical simulation methodssimulation-based methodstransition density estimation

Mathematics Subject Classification ID

Cites Work

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• On effects of discretization on estimators of drift parameters for diffusion processes
• Stochastic Limit Theory
• A new technique for simulating the likelihood of stochastic differential equations
• Nonparametric Pricing of Interest Rate Derivative Securities
• Stability of weak numerical schemes for stochastic differential equations

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